Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v2.4.0.6
Fair Value Measurements
 9 Months Ended
Sep. 30, 2012
Fair Value Measurements

12. Fair Value Measurements

The Company applies the provisions of FASB ASC Topic 820, Fair Value Measurements and Disclosures, or ASC 820, for its financial and non-financial assets and liabilities. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a fair value hierarchy, which prioritizes the inputs used in measuring fair value into three broad levels as follows:

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level 2 inputs include quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability and inputs that are derived principally from or corroborated by observable market data by correlation or other means.

Level 3 inputs are unobservable inputs for the asset or liability.

The Company measures certain assets and liabilities at fair value as discussed throughout the notes to its consolidated financial statements. Foreign exchange currency contracts and interest rate swaps are valued using standard calculations and models. Foreign exchange currency contracts are valued primarily based on inputs such as observable forward rates, spot rates and foreign currency exchange rates at the reporting period ended date. Interest rate swaps are valued primarily based on inputs such as LIBOR and swap yield curves at the reporting period ended date. Assets or liabilities that have recurring measurements and are measured at fair value consisted of Level 2 derivatives and are shown below at their gross values at September 30, 2012, and December 31, 2011:

Fair Value Measurements at Reporting Date

 

     Derivative Balance
Sheet
Location		    Significant
Other
Observable
Inputs
(Level 2)
Fair Value at
September 30,
2012		      Significant
Other
Observable
Inputs
(Level 2)
Fair Value at
December 31,
2011		  
          (in millions)  

ASSETS:

         

Derivatives designated as cash flow hedging instruments:

         

Foreign exchange currency contracts relating to inventory and intercompany management fee hedges

    Prepaid expenses and other
current assets		    $ 0.9       $ 4.4   

Derivatives not designated as cash flow hedging instruments:

         

Foreign exchange currency contracts

    Prepaid expenses and other
current assets		    $ 0.4       $ 0.8   
     

 

 

     

 

 

  
      $ 1.3       $ 5.2   
     

 

 

     

 

 

  

LIABILITIES:

         

Derivatives designated as cash flow hedging instruments:

         

Foreign exchange currency contracts relating to inventory and intercompany management fee hedges

    Accrued expenses    $ 3.6         —     

Interest rate swaps

    Accrued expenses    $ 3.0       $ 5.1   

Derivatives not designated as hedging instruments:

         

Foreign exchange currency contracts

    Accrued expenses    $ 0.3       $ 0.7   
     

 

 

     

 

 

  
      $ 6.9       $ 5.8